nach oben

Theory and Decision

Erschienen in:

01.07.2015

A belief-based definition of ambiguity aversion

verfasst von: Xiangyu Qu

Erschienen in: Theory and Decision | Ausgabe 1/2015

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

This paper proposes a notion of ambiguity aversion and characterizes it in the context of biseparable preferences, which include many popular ambiguity models in the literature. The defined properties suggest that ambiguity aversion is characterized by the properties of its capacity. This formalizes a sharp distinction between ambiguity and risk aversion, where risk aversion is characterized by the properties of its utility index and its probability weighting function.

Vorheriger Artikel Conditions on social-preference cycles

Nächster Artikel The -majority efficiency of positional rules

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Nur mit Berechtigung zugänglich

See Ghirardato and Marinacci (2001) for technique details.

Another possible choice of ambiguity neutrality in the context of biseparable preferences are SEU as in Ghirardato and Marinacci (2002).

To formally demonstrate that CEU and MEU are special cases of biseparable preference model, we need some additional structural assumption. See Ghirardato and Marinacci (2001) for technique details.

It is straightforward that CEU is monotonic. Equation (1) holds with \(\rho =\nu \) pointwise.

Actually how to select a ambiguity neutrality is a topic widely debated. Epstein (1999) adopts probabilistically sophisticated preferences as ambiguity neutrality. Ghirardato and Marinacci (2002) adopt SEU as ambiguity neutrality. We refer to their paper for detailed discussion.

The behavioral foundation for our definitions is not fully developed as those aforementioned studies. This remains an open question for further study.

The readers can consult Abdellaoui et al. (2005) for more details and for implementation in the laboratories.

Abdellaoui, M., Vossmann, F., & Weber, M. (2005). Choice-based elicitation and decomposition of decision weights for gains and losses under uncertainty. Management Science, 51(9), 1384–1399.CrossRef

Abdellaoui, M., Baillon, A., Placido, L., & Wakker, P. (2011). The rich domain of uncertainty: Source functions and their experimental implementation. American Economic Review, 101(2), 695–723.CrossRef

Anscombe, F., & Aumann, R. (1963). A definition of subjective probability. Annals of Mathematical Statistics, 34, 199–205.CrossRef

Baillon, A., Driesen, B., & Wakker, P. (2012). Relative concave utility for risk and ambiguity. Games and Economic Behavior, 75(2), 481–489.CrossRef

Chateauneuf, A., Cohen, M., & Meilijson, I. (2005). More pessimism than greediness: A characterization of monotone risk aversion in the rank-dependent expected utility model. Economic Theory, 25(3), 649–667.CrossRef

Chew, S. H., & Sagi, J. (2008). Small worlds: Modeling attitudes toward sources of uncertainty. Journal of Economic Theory, 139(1), 1–24.CrossRef

Chew, S. H., Karni, E., & Safra, Z. (1987). Risk aversion in the theory of expected utility with rank dependent probabilities. Journal of Economic Theory, 42(2), 370–381.CrossRef

Choquet, G. (1953). Theory of capacities. Annales de l’institut Fourier, 5, 131–295.CrossRef

Ellsberg, D. (1961). Risk, ambiguity, and the savage axioms. The Quarterly Journal of Economics, 75(4), 643–669.CrossRef

Epstein, L. (1999). A definition of uncertainty aversion. The Review of Economic Studies, 66(3), 579–608.CrossRef

Ergin, H., & Gul, F. (2009). A theory of subjective compound lotteries. Journal of Economic Theory, 144(3), 899–929.CrossRef

Ghirardato, P., & Marinacci, M. (2001). Risk, ambiguity, and the separation of utility and beliefs. Mathematics of Operations Research, 26(4), 864–890.CrossRef

Ghirardato, P., & Marinacci, M. (2002). Ambiguity made precise: A comparative foundation. Journal of Economic Theory, 102(2), 251–289.CrossRef

Gilboa, I., & Schmeidler, D. (1989). Maxmin expected utility with non-unique prior. Journal of Mathematical Economics, 18(2), 141–153.CrossRef

Keynes, J. (1921). A treatise on probability. London: Macmillan.

Klibanoff, P., Marinacci, M., & Mukerji, S. (2005). A smooth model of decision making under ambiguity. Econometrica, 73(6), 1849–1892.CrossRef

Knight, F. (1921). Risk, uncertainty and profit. Boston: Houghton Mifflin.

Maccheroni, F., Marinacci, M., & Rustichini, A. (2006). Ambiguity aversion, robustness, and the variational representation of preferences. Econometrica, 74(6), 1447–1498.CrossRef

Machina, M., & Schmeidler, D. (1992). A more robust definition of subjective probability. Econometrica, 60(4), 745–780.CrossRef

Machina, M., & Schmeidler, D. (1995). Bayes without Bernoulli: Simple conditions for probabilistically sophisticated choice. Journal of Economic Theory, 67(1), 106–128.CrossRef

Marinacci, M. (2002). Probabilistic sophistication and multiple priors. Econometrica, 70(2), 755–764.CrossRef

Quiggin, J. (1991). Comparative statics for rank-dependent expected utility theory. Journal of Risk and Uncertainty, 4(4), 339–350.CrossRef

Schmeidler, D. (1989). Subjective probability and expected utility without additivity. Econometrica, 57(3), 571–587.CrossRef

Siniscalchi, M. (2009). Vector expected utility and attitudes toward variation. Econometrica, 77(3), 801–855.CrossRef

Strzalecki, T. (2011). Axiomatic foundations of multiplier preferences. Econometrica, 79(1), 47–73.CrossRef

Wakker, P. (2004). On the composition of risk preference and belief. Psychological Review, 111(1), 236–241.CrossRef

Wakker, P., & Deneffe, D. (1996). Eliciting von Neumann–Morgenstern utilities when probabilities are distorted or unknown. Management Science, 42(8), 1131–1150.

Yaari, M. (1969). Some remarks on measures of risk aversion and on their uses. Journal of Economic Theory, 1(3), 315–329.CrossRef

Titel: A belief-based definition of ambiguity aversion
verfasst von: Xiangyu Qu
Publikationsdatum: 01.07.2015
Verlag: Springer US
Erschienen in: Theory and Decision / Ausgabe 1/2015
Print ISSN: 0040-5833
Elektronische ISSN: 1573-7187
DOI: https://doi.org/10.1007/s11238-014-9452-1

Springer Professional

Abstract

Bitte loggen Sie sich ein, um Zugang zu Ihrer Lizenz zu erhalten.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Springer Professional "Wirtschaft"

Weitere Artikel der Ausgabe 1/2015

Stubborn learning

Extended present bias: a direct experimental test

A theoretical foundation of portfolio resampling

Politicians, governed versus non-governed interest groups and rent dissipation

Conditions on social-preference cycles

The $$q$$ q -majority efficiency of positional rules

Premium Partner